Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 1 2
Score -6.91 -6.7 -3.1
Market Cap (Millions USD) 531.21 504.18 555.06
Predicted Beta 0.19 0.18 0.19
Idiosyncratic Volatility 1.28 1.11 1.64

Annualized return and volatility

EWS
Annualized Return 0.0486
Annualized Std Dev 0.2563
Annualized Sharpe (Rf=0%) 0.1898

Row

Daily Return Statistics

EWS
Observations 5112.0000
NAs 2.0000
Minimum -0.1119
Quartile 1 -0.0071
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0078
Maximum 0.1792
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0161
Skewness 0.2421
Kurtosis 8.6448

Downside Risk

EWS
Semi Deviation 0.0114
Gain Deviation 0.0121
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.6380
Historical VaR (95%) -0.0246
Historical ES (95%) -0.0379
Modified VaR (95%) -0.0223
Modified ES (95%) -0.0237
From Trough To Depth Length To Trough Recovery
2007-10-15 2009-03-09 2010-11-03 -0.6380 785 361 424
2000-01-10 2001-09-21 2005-07-21 -0.5721 1414 433 981
2014-07-25 2016-01-20 2017-10-27 -0.3251 837 383 454
2011-08-02 2011-10-03 2012-12-14 -0.2606 352 45 307
2018-01-25 2018-10-29 NA -0.2131 492 196 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWS
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.8 1.7 0.0 0.8 5.7 0.0 0.0 -1.6 0.0 2.7 0.0 0.0 10.4
2001 -0.3 -0.9 0.0 1.8 -0.7 0.0 1.9 0.0 4.6 -0.9 0.0 0.0 5.4
2002 0.5 2.0 -0.5 -0.4 0.0 -1.9 1.6 0.0 -2.7 -0.6 0.0 0.0 -2.1
2003 0.0 0.0 2.7 -1.0 0.0 2.1 -1.9 0.0 2.1 0.0 1.8 0.0 6.0
2004 0.0 0.8 1.4 0.0 -0.3 -0.8 0.0 1.1 2.5 0.1 2.9 0.0 7.9
2005 0.8 0.8 -1.0 0.0 0.1 -0.8 1.4 1.5 0.0 -0.9 1.4 0.0 3.4
2006 0.6 1.8 0.0 0.2 0.1 0.0 -1.7 1.0 0.0 1.3 -0.9 0.0 2.3
2007 1.6 -2.6 0.0 0.5 -0.1 0.0 -0.6 0.0 3.5 -3.9 0.0 0.0 -1.7
2008 1.3 0.0 4.8 1.3 0.0 -1.0 -1.1 0.0 0.7 0.0 -9.1 0.0 -3.6
2009 0.0 0.0 2.1 0.5 2.5 1.7 0.0 -0.9 -2.4 0.0 1.9 0.0 5.4
2010 1.5 0.7 2.2 0.0 -2.4 0.4 0.0 3.3 1.5 1.1 2.8 0.0 11.7
2011 0.9 0.3 0.5 0.0 -2.0 1.3 0.3 -1.2 0.0 -3.7 -0.7 0.0 -4.2
2012 1.1 0.9 0.0 -0.1 -2.7 0.0 0.2 0.0 0.4 0.1 0.0 0.0 -0.2
2013 0.2 0.3 -0.9 -0.8 0.0 -0.9 0.9 0.0 1.0 -0.1 0.0 0.0 -0.3
2014 0.0 0.0 0.6 0.2 0.0 0.0 -0.1 0.0 -0.6 0.0 -1.9 0.0 -1.9
2015 0.0 0.0 0.7 0.1 -0.5 0.2 0.0 -2.2 -0.6 0.0 1.3 0.0 -1.1
2016 -1.2 2.1 -0.2 0.0 -0.2 0.5 0.3 0.5 0.0 -0.5 1.1 0.0 2.3
2017 0.2 0.1 0.0 0.5 0.7 0.0 0.6 0.3 0.0 0.7 0.2 0.0 3.4
2018 0.3 -0.4 0.0 -0.3 0.3 0.0 -0.4 0.0 -0.1 3.0 0.0 0.0 2.4
2019 -0.6 0.2 1.7 -0.2 0.0 1.1 -1.2 0.0 0.0 1.0 0.0 -0.2 1.8

Row

Rolling Performance Chart

Snail Trail Chart